Carmelo already explained you what 'gli' is. Let me add that: in this case we use 'to him' (gli) while in English you would use 'from him'. Our languages here don't match, but the meaning is the same.

It is a pronoun, specifically an 'unstressed' indirect pronoun. It has the same value of the stressed pronoun "lui" preceded by the preposition "a". "... la sorella gli ha preso la macchina." = "... la sorella ha preso la macchina a lui" = literally "... the sister took the car to him"/"... the sister took him the car" = "... his sister took his car"

significa "a lui". al femminile è "le". La sorella di Roberto è arrabbiata perché lui le ha perso le chiavi della macchina :)